Investment Portfolio Modelling on the Russian Stock Market
Economic Perspectives - Challenges, Strategies, and Policy Implications: 37ECO 2021
The article examines theoretical and applied aspects of the investment portfolio construction. The Markowitz mean-variance model, the Sharpe single-index model and the EGP algorithm are being analyzed and then implemented to build optimized portfolios using daily data over 5 years on the 28 MOEX listed…